Invariant inference and efficient computation in the static factor model
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- scientific article; zbMATH DE number 2063756
Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 2063756 (Why is no real title available?)
- scientific article; zbMATH DE number 1391247 (Why is no real title available?)
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Cited in
(20)- Bayesian semiparametric multivariate stochastic volatility with application
- Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
- Scalable Bayesian Estimation in the Multinomial Probit Model
- Forecast density combinations of dynamic models and data driven portfolio strategies
- Sparse Bayesian factor analysis when the number of factors is unknown (with discussion)
- Bayesian estimation of sparse dynamic factor models with order-independent and ex-post mode identification
- Selecting the number of factors in approximate factor models using group variable regularization
- Structured prior distributions for the covariance matrix in latent factor models
- Tight risk bound for high dimensional time series completion
- High-dimensional VAR with low-rank transition
- Bayesian singular value regularization via a cumulative shrinkage process
- Instrumental variables inference in a small-dimensional VAR model with dynamic latent factors
- Shift permutation invariance in linear random factor models
- Leverage, Asymmetry, and Heavy Tails in the High-Dimensional Factor Stochastic Volatility Model
- Post-processing for Bayesian analysis of reduced rank regression models with orthonormality restrictions
- Bayesian Approaches to Shrinkage and Sparse Estimation
- Recursive computing and simulation-free inference for general factorizable models
- Reducing the state space dimension in a large TVP-VAR
- An order-invariant score-driven dynamic factor model
- A Mode-Jumping Algorithm for Bayesian Factor Analysis
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